MTH3230 - Time series and random processes in linear systems

Leader: Professor Fima Klebaner

Offered

Clayton Second semester 2008 (Day)

Synopsis

Multivariate distributions. Estimation: maximum of likelihood and method of moments. Confidence intervals. Analysis in the time domain: stationary models, autocorrelation, partial autocorrelation. ARMA and ARIMA models. Analysis in the frequency domain (Spectral analysis): spectrum, periodigram, linear and digital filters, cross-correlations and cross-spectrum, spectral estimators, confidence interval for the spectral density. State-space models. Kalman filter. Empirical Orthogonal Functions and other Eigen Methods. Use of ITSM.

Assessment

Examination (3 hours): 60%
Assignments, tests and participation in tutorials: 40%

Contact hours

Three 1-hour lectures and one 1-hour support class per week

Prerequisites

MTH2010 or MTH2032 or MTH222. MTH2222 is highly recommended.

Prohibitions

STA3042